Optionity Daily Report 02/07/2013

Date: February 7, 2013

Daily Market Statistics

Source: Barrons

S&P 500 5-Day Daily Chart

Source: Google Finance

Economic Calendar

Source: Briefing

Options Market Recap

The market sentiment was driven by extreme greed with Fear & Greed Index at 84, which had decreased from the previous close of 87. As reported by CBOE, the total put/call ratio was 1.03 for the day. The index put/call ratio was 1.26, and the equity put/call ratio was 0.66. The CBOE volatility index (VIX) put/call ratio was 0.52. The stocks with unusual call activities had been identified through our daily options scanning process, with the scanning criteria where the daily call option volume ratio was above 2.00 (2x of the average call option volume) with a call option volume above 10,000. Unusual option activities can be an indicator or precursor of a major movement for the underlying stock.

Symbol Call Option Volume Average Call Option Volume Daily Volume Ratio Events
BA 30,256 14,076 2.15 Statement on NTSB
VVUS 11,831 5,405 2.19 Qsymia result
V 14,508 6,405 2.27 Earnings
KO 18,866 8,135 2.32 14,117
EXC 10,062 4,125 2.44 Earnings
MON 10,577 4,197 2.52 3,214
ANF 26,230 10,025 2.62 Analyzed
DBA 12,414 4,715 2.63 1,472 ETF
COF 11,627 3,511 3.31 Ex-dividend
GMCR 85,423 20,819 4.10 Earnings
LBTYA 11,296 2,334 4.84 Acquisition of Virgin Media
GPS 23,802 4,867 4.89 Analyzed
LNKD 41,170 7,906 5.21 Earnings
RVBD 19,720 3,440 5.73 Earnings
WM 20,415 3,137 6.51 4,610
BYD 10,262 1,434 7.16 470
CSTR 40,477 4,689 8.63 Earnings
AAP 13,588 1,488 9.13 Earnings

Source: Schaeffer’s Research

Market Volatility and Analysis

For Option Equity Put/Call Ratio, the MACD (12, 26, 9) is showing a bearish trend but the MACD difference converged. RSI (14) had increased to 46.73 from 46.20. It could signal a market reversal if the MACD difference starts to converge and the MACD Histogram moves into the positive territory.

SPY opened flat, dropped to $149.86 intra-day low, and closed with 0.15% loss. The volume was 31.59M. On weekly basis, the MACD (12, 26, 9) is showing a bullish trend and the MACD Histogram decreased slightly and closed at 0.820 (decreased from 0.833). SPY is currently trading above its 200-day MA of $117.68 and its 50-day MA of $138.89. RSI (14) decreased to 67.69 from 68.23 with decreasing buying momentum. The next resistance is $154.09 (R1), followed by $161.81 (R2).

Optionity Core-20 Options Portfolio (Credit Put Strategy)

Stock criteria:

  1. Large Cap with low beta
  2. Fair/Under-valued
  3. Consistent, strong earnings
  4. Dividend distribution
  5. High liquidity, large volume
  6. Good/strong economic moat

This options portfolio consists of 20 core stocks. The portfolio will employee mainly the credit put strategy with the primary objective of generating consistent cash flow. The portfolio focuses on 1) sufficient sector diversification 2) risk/reward ratio control 3) margin of safety by leveraging options.

Daily portfolio performance will be updated at Seeking Alpha Instablog and Optionity.com.

Transaction details will be updated whenever new position is opened or the existing position is closed/expired/adjusted.

Pending transaction(s) to be setup:

Credit short put GE May 20, 2013 $20/$21 put (Target $0.19-$0.20)
Credit short put INTC Mar. 16, 2013 $19/20 put (Target $0.20)

Core-20 Stocks Update

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